class SimulatorTest(TestCase):
class ExecHandler(ExecutionEventHandler):
def __init__(self):
self.ord_upds = list()
self.exec_reports = list()
def on_ord_upd(self, ord_upd):
self.ord_upds.append(ord_upd)
def on_exec_report(self, exec_report):
self.exec_reports.append(exec_report)
def reset(self):
self.ord_upds = list()
self.exec_reports = list()
def id(self):
return "ExecHandler"
def setUp(self):
self.app_context = ApplicationContext()
#self.app_context.inst_data_mgr.clear()
self.exec_handler = SimulatorTest.ExecHandler()
self.app_context.order_mgr = self.exec_handler
self.simulator = Simulator()
self.simulator.start(app_context=self.app_context)
def test_on_limit_order_fill_with_new_data(self):
orders = self.simulator._get_orders()
self.assertEqual(0, len(orders))
order1 = NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5)
self.simulator.on_new_ord_req(order1)
orders = self.simulator._get_orders()
self.assertEqual(1, len(orders))
self.assertEqual(1, len(orders[order1.inst_id]))
self.assertEqual(1, len(orders[order1.inst_id][order1.cl_id]))
self.assertIsNotNone(
orders[order1.inst_id][order1.cl_id][order1.cl_ord_id])
self.assertEqual(1, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id, 0,
0, OrdStatus.SUBMITTED)
bar1 = Bar(inst_id=1, open=20, high=21, low=19, close=20.5, vol=1000)
bar2 = Bar(inst_id=1, open=16, high=18, low=15, close=17, vol=1000)
self.exec_handler.reset()
self.simulator.on_bar(bar1)
self.assertEqual(0, len(self.exec_handler.exec_reports))
self.exec_handler.reset()
self.simulator.on_bar(bar2)
self.assertEqual(1, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id,
1000, 18.5, OrdStatus.FILLED)
def test_on_limit_order_immediate_fill(self):
bar1 = Bar(inst_id=1, open=20, high=21, low=19, close=20.5, vol=1000)
bar2 = Bar(inst_id=1, open=16, high=18, low=15, close=17, vol=1000)
self.app_context.inst_data_mgr.on_bar(bar2)
orders = self.simulator._get_orders()
self.assertEqual(0, len(orders))
order1 = NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5)
self.simulator.on_new_ord_req(order1)
orders = self.simulator._get_orders()
self.assertEqual(1, len(orders))
self.assertEqual(1, len(orders[order1.inst_id]))
self.assertEqual(0, len(orders[order1.inst_id][order1.cl_id]))
self.assertEqual(2, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id, 0,
0, OrdStatus.SUBMITTED)
exec_report = self.exec_handler.exec_reports[1]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id,
1000, 18.5, OrdStatus.FILLED)
def assert_exec_report(self, exec_report, cl_id, cl_ord_id, last_qty,
last_price, status):
self.assertEqual(cl_id, exec_report.cl_id)
self.assertEqual(cl_ord_id, exec_report.cl_ord_id)
self.assertEqual(last_qty, exec_report.last_qty)
self.assertEqual(last_price, exec_report.last_price)
self.assertEqual(status, exec_report.status)
class SimulatorTest(TestCase):
class ExecHandler(ExecutionEventHandler):
def __init__(self):
self.ord_upds = list()
self.exec_reports = list()
def on_ord_upd(self, ord_upd):
self.ord_upds.append(ord_upd)
def on_exec_report(self, exec_report):
self.exec_reports.append(exec_report)
def reset(self):
self.ord_upds = list()
self.exec_reports = list()
def id(self):
return "ExecHandler"
def setUp(self):
self.app_context = ApplicationContext()
# self.app_context.inst_data_mgr.clear()
self.exec_handler = SimulatorTest.ExecHandler()
self.app_context.order_mgr = self.exec_handler
self.simulator = Simulator()
self.simulator.start(app_context=self.app_context)
def test_on_limit_order_fill_with_new_data(self):
orders = self.simulator._get_orders()
self.assertEqual(0, len(orders))
nos = ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="TestClientOrder",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)
self.simulator.on_new_ord_req(nos)
cl_ord_id = ModelFactory.build_cl_ord_id(nos.cl_id, nos.cl_ord_id)
orders = self.simulator._get_orders()
self.assertEqual(1, len(orders))
self.assertEqual(1, len(orders[nos.inst_id]))
self.assertIsNotNone(orders[nos.inst_id][cl_ord_id])
self.assertEqual(1, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, nos.cl_id, nos.cl_ord_id, 0, 0,
Submitted)
bar1 = ModelFactory.build_bar(timestamp=0,
inst_id="HSI@SEHK",
open=20,
high=21,
low=19,
close=20.5,
vol=1000)
bar2 = ModelFactory.build_bar(timestamp=1,
inst_id="HSI@SEHK",
open=16,
high=18,
low=15,
close=17,
vol=1000)
self.exec_handler.reset()
self.simulator.on_bar(bar1)
self.assertEqual(0, len(self.exec_handler.exec_reports))
self.exec_handler.reset()
self.simulator.on_bar(bar2)
self.assertEqual(1, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, nos.cl_id, nos.cl_ord_id, 1000,
18.5, Filled)
def test_on_limit_order_immediate_fill(self):
# bar1 = Bar(inst_id=1, open=20, high=21, low=19, close=20.5, vol=1000)
bar2 = ModelFactory.build_bar(timestamp=1,
inst_id="HSI@SEHK",
open=16,
high=18,
low=15,
close=17,
vol=1000)
self.app_context.inst_data_mgr.on_bar(bar2)
orders = self.simulator._get_orders()
self.assertEqual(0, len(orders))
nos = ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="TestClientOrder",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)
self.simulator.on_new_ord_req(nos)
cl_ord_id = ModelFactory.build_cl_ord_id(nos.cl_id, nos.cl_ord_id)
orders = self.simulator._get_orders()
self.assertEqual(1, len(orders))
self.assertEqual(0, len(orders[nos.inst_id]))
self.assertEqual(2, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, nos.cl_id, nos.cl_ord_id, 0, 0,
Submitted)
exec_report = self.exec_handler.exec_reports[1]
self.assert_exec_report(exec_report, nos.cl_id, nos.cl_ord_id, 1000,
18.5, Filled)
def assert_exec_report(self, exec_report, cl_id, cl_ord_id, last_qty,
last_price, status):
self.assertEqual(cl_id, exec_report.cl_id)
self.assertEqual(cl_ord_id, exec_report.cl_ord_id)
self.assertEqual(last_qty, exec_report.last_qty)
self.assertEqual(last_price, exec_report.last_price)
self.assertEqual(status, exec_report.status)
class SimulatorTest(TestCase):
class ExecHandler(ExecutionEventHandler):
def __init__(self):
self.ord_upds = list()
self.exec_reports = list()
def on_ord_upd(self, ord_upd):
self.ord_upds.append(ord_upd)
def on_exec_report(self, exec_report):
self.exec_reports.append(exec_report)
def reset(self):
self.ord_upds = list()
self.exec_reports = list()
def id(self):
return "ExecHandler"
def setUp(self):
self.app_context = ApplicationContext()
#self.app_context.inst_data_mgr.clear()
self.exec_handler = SimulatorTest.ExecHandler()
self.app_context.order_mgr = self.exec_handler
self.simulator = Simulator()
self.simulator.start(app_context=self.app_context)
def test_on_limit_order_fill_with_new_data(self):
orders = self.simulator._get_orders()
self.assertEqual(0, len(orders))
order1 = NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT,
qty=1000, limit_price=18.5)
self.simulator.on_new_ord_req(order1)
orders = self.simulator._get_orders()
self.assertEqual(1, len(orders))
self.assertEqual(1, len(orders[order1.inst_id]))
self.assertEqual(1, len(orders[order1.inst_id][order1.cl_id]))
self.assertIsNotNone(orders[order1.inst_id][order1.cl_id][order1.cl_ord_id])
self.assertEqual(1, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id, 0, 0, OrdStatus.SUBMITTED)
bar1 = Bar(inst_id=1, open=20, high=21, low=19, close=20.5, vol=1000)
bar2 = Bar(inst_id=1, open=16, high=18, low=15, close=17, vol=1000)
self.exec_handler.reset()
self.simulator.on_bar(bar1)
self.assertEqual(0, len(self.exec_handler.exec_reports))
self.exec_handler.reset()
self.simulator.on_bar(bar2)
self.assertEqual(1, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id, 1000, 18.5, OrdStatus.FILLED)
def test_on_limit_order_immediate_fill(self):
bar1 = Bar(inst_id=1, open=20, high=21, low=19, close=20.5, vol=1000)
bar2 = Bar(inst_id=1, open=16, high=18, low=15, close=17, vol=1000)
self.app_context.inst_data_mgr.on_bar(bar2)
orders = self.simulator._get_orders()
self.assertEqual(0, len(orders))
order1 = NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT,
qty=1000, limit_price=18.5)
self.simulator.on_new_ord_req(order1)
orders = self.simulator._get_orders()
self.assertEqual(1, len(orders))
self.assertEqual(1, len(orders[order1.inst_id]))
self.assertEqual(0, len(orders[order1.inst_id][order1.cl_id]))
self.assertEqual(2, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id, 0, 0, OrdStatus.SUBMITTED)
exec_report = self.exec_handler.exec_reports[1]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id, 1000, 18.5, OrdStatus.FILLED)
def assert_exec_report(self, exec_report, cl_id, cl_ord_id, last_qty, last_price, status):
self.assertEqual(cl_id, exec_report.cl_id)
self.assertEqual(cl_ord_id, exec_report.cl_ord_id)
self.assertEqual(last_qty, exec_report.last_qty)
self.assertEqual(last_price, exec_report.last_price)
self.assertEqual(status, exec_report.status)
